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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
424 Derivatives and Risk Management
Net premium received = (3.4 – 1.2) × 100 = INR 220
Gain = –INR 260 + INR 220 = –INR 40
3. Exercise settlement is at INR 65:
Since both the options will be in-the-money, both will be exercised. e high-exercise-price option
will result in a gain and the low-exercise-price option will result in a loss. e prot will be calculated
as follows:
Exercise price of the high-exercise-price put = INR 64
Exercise price of the low-exercise-price put = INR 60
Less exercise settlement value = INR 65
Amount to put spread investor = (1 – 5) × 100 = –INR 400
Net premium received = (3.4 – 1.2) × 100 = INR 220
Gain = –INR 400 + INR ...
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Publisher Resources

ISBN: 9781299447547Publisher Website